?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F2666%2F&rft.title=Longevity+assets+and+pre-retirement+consumption%2Fportfolio%0D%0Adecisions&rft.creator=Menoncin%2C+Francesco&rft.creator=Regis%2C+Luca&rft.subject=HB+Economic+Theory&rft.description=We+derive+a+closed+form+solution+for+the+optimal+consumption%2Finvestment+problem+of+an+agent+whose+force+of+mortality+is+stochastic+and+whose+financial+horizon+coincides+with+a+fixed+retirement+date.+The+investment+set+includes+a+longevity+asset%2C+as+a+derivative+on+the+force+of+mortality.+We+explore+the+optimal+choices+of+a+representative+agent+having+Hyperbolic+Absolute+Risk+Aversion+preferences+on+both+consumption+and+final%0D%0Awealth.+Our+numerical+analysis+shows+that+individuals+optimally+invest+a+large+fraction+of+their+wealth+in+the+longevity+asset.+In+our+base+scenario%2C+calibrated+on+real+world+data%2C+a+60-year+old+male+retiring+after+5+years+should+invest+around+88%25+of+his+wealth+in+the+longevity+asset.+Such+a+percentage+decreases+as+time+to+retirement+decreases.+We+explore+sensitivity+of+our+results+to+market+and+individual+characteristics.+&rft.publisher=IMT+Institute+for+Advanced+Studies&rft.date=2015-05&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.rights=cc_by_nd&rft.identifier=http%3A%2F%2Feprints.imtlucca.it%2F2666%2F2%2FFile%2520unico.pdf&rft.identifier=++Menoncin%2C+Francesco+and+Regis%2C+Luca++Longevity+assets+and+pre-retirement+consumption%2Fportfolio+decisions.++EIC+working+paper+series++%232%2F2015++++IMT+Institute+for+Advanced+Studies++++ISSN+2279-6894.++++++